Sensory processing and attention allocation are shaped by threat, but the role of trait-anxiety in sensory processing as a function of threat predictability remains incompletely understood. Therefore, we measured steady-state visual evoked potentials (ssVEPs) as an index of sensory processing of predictable and unpredictable threat cues in 29 low (LA) and 29 high (HA) trait-anxious participants during a modified NPU-paradigm followed by an extinction phase. Three different contextual cues indicated safety (N), predictable (P) or unpredictable threat (U), while foreground cues signalled shocks in the P-condition only. All participants allocated increased attentional resources to the central P-threat cue, replicating previous findings. Importantly, LA individuals exhibited larger ssVEP amplitudes to contextual threat (U and P) than to contextual safety cues, while HA individuals did not differentiate among contextual cues in general. Further, HA exhibited higher aversive ratings of all contexts compared to LA. These results suggest that high trait-anxious individuals might be worse at discriminating contextual threat stimuli and accordingly overestimate the probability and aversiveness of unpredictable threat. These findings support the notion of aberrant sensory processing of unpredictable threat in anxiety disorders, as this processing pattern is already evident in individuals at risk of these disorders.